Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1405 |
| Annualized Std Dev | 0.2932 |
| Annualized Sharpe (Rf=0%) | 0.4793 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3949.0000 |
| NAs | 1.0000 |
| Minimum | -0.1382 |
| Quartile 1 | -0.0092 |
| Median | 0.0012 |
| Arithmetic Mean | 0.0007 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0110 |
| Maximum | 0.1141 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0013 |
| Variance | 0.0003 |
| Stdev | 0.0185 |
| Skewness | -0.2510 |
| Kurtosis | 3.7518 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0134 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0133 |
| Downside Deviation (MAR=210%) | 0.0177 |
| Downside Deviation (Rf=0%) | 0.0131 |
| Downside Deviation (0%) | 0.0131 |
| Maximum Drawdown | 0.6296 |
| Historical VaR (95%) | -0.0291 |
| Historical ES (95%) | -0.0428 |
| Modified VaR (95%) | -0.0296 |
| Modified ES (95%) | -0.0493 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-05-05 | 2008-11-20 | 2014-03-20 | -0.6296 | 1970 | 643 | 1327 |
| 2020-02-20 | 2020-03-20 | 2020-06-05 | -0.3659 | 75 | 22 | 53 |
| 2018-06-07 | 2018-12-24 | 2019-04-16 | -0.2851 | 216 | 139 | 77 |
| 2015-06-02 | 2016-02-11 | 2016-07-26 | -0.2636 | 291 | 177 | 114 |
| 2019-04-25 | 2019-05-31 | 2019-07-24 | -0.1899 | 63 | 26 | 37 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | -0.2 | -0.1 | -1.4 | 1.7 | -1.2 | 3.2 | -0.8 | 1 |
| 2006 | 1.8 | 3.9 | -0.4 | -0.5 | 3 | 0.5 | -2.4 | -1.1 | -1 | -2.9 | -1 | -1 | -1.3 |
| 2007 | 0.8 | -0.8 | 0.1 | 0.5 | 0.7 | -0.7 | -0.7 | 1.5 | 2.6 | -2.5 | -1 | -0.2 | 0.1 |
| 2008 | 3.5 | -2.6 | 3.4 | 3.7 | 0.8 | -0.4 | -0.9 | -1.7 | -2.9 | 2.7 | -8.7 | 2.7 | -1.1 |
| 2009 | -2.3 | 0.1 | 1.4 | 0 | 4.5 | 1.6 | 0 | -2.3 | -5.5 | -2.7 | 3.3 | -0.9 | -3.2 |
| 2010 | 3.6 | 2.8 | -0.4 | -4.2 | -2.9 | -0.2 | -1.4 | 2.5 | 0.2 | -1.1 | 3.2 | -0.6 | 1.2 |
| 2011 | 3.5 | -1.6 | -1.1 | 0.3 | -1.8 | 2 | -0.4 | -1.8 | -2.3 | -2.7 | 0.2 | -0.9 | -6.7 |
| 2012 | 1.4 | -0.4 | 1.1 | 0.6 | -3.9 | 3.6 | -1.2 | 0.9 | -1.8 | 2.9 | 0.1 | 2.3 | 5.4 |
| 2013 | 2.3 | -1.2 | -1.5 | -1.7 | -0.9 | 0.3 | 2 | -1.3 | 0.1 | -1.1 | 0.7 | 0.8 | -1.8 |
| 2014 | -0.6 | 0.4 | 1.5 | 0.3 | 0.4 | 1.3 | 0.7 | 1 | -2.8 | 4.8 | -1.6 | -0.7 | 4.6 |
| 2015 | -2.6 | -0.1 | -1.1 | 2.8 | 0.3 | -0.4 | -0.8 | -3.3 | -1.3 | 1.5 | 1 | -1.6 | -5.7 |
| 2016 | 0.5 | 2.3 | 0.5 | -2.8 | 0.4 | -0.5 | 0.1 | 1 | 1.4 | -0.4 | -5.6 | -1.4 | -4.6 |
| 2017 | 2.1 | 1.9 | 0.2 | 1.6 | 0.1 | -0.8 | 0.1 | 0.8 | 0.9 | -2 | -1.4 | -0.8 | 2.6 |
| 2018 | -0.2 | -1.3 | 2.1 | 1.3 | 2 | 0.2 | -0.3 | 0.6 | -0.3 | 4.3 | 1.7 | 0.3 | 10.8 |
| 2019 | 1.2 | 0.9 | 2.3 | -0.7 | -1.5 | 2.4 | -1 | 1 | -1.1 | 2.1 | -1.2 | 0.2 | 4.7 |
| 2020 | -3.7 | 2 | -5.1 | -5.7 | -0.3 | -1.4 | -0.4 | 1.7 | 2.7 | -1.5 | 2 | 0.2 | -9.5 |
| 2021 | 4.4 | 4.5 | 1.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 10.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
